Generalized Autoregressive Score Models in R: The GAS Package
| Responsable du projet | Leopoldo Catania |
| Partenaire |
David Ardia
Kris Boudt |
| Résumé |
The GAS package for R aims to create an integrated computational
environment to deal with Generalised Autoregressive Score (GAS)
models. GAS models are particularly suited for univariate and
multivariate time series and can be used to predict the evolution
of several quantity of interest in economics and finance. Several
research papers have demonstrated the superior ability of GAS
models compared to alternative time series models. Most
applications are in the fields of volatility modeling, systemic
risk measurement, macroeconometrics, credit risk analysis and
dependence modelling. The GAS package will offer the possibility to
practitioners and academics to estimate GAS models using their data,
perform predictions and simulations and obtain a graphical
representation of the results. The data available at
www.gasmodel.com will also be included for comparative and
education purposes. The code will be written principally in C++ for
computational purposes and then linked with R using the Rcpp,
RcppArmadillo and RcppGSL packages. Code parallelisation will be
included using the R parallel package and the OpenMP API. The
package documentation will be written using the R roxygen2
package. |
| Mots-clés |
GAS, time series models, score models, dynamic conditional score, R software. |
| Page internet | http://https://summerofcode.withgoogle.com/projects/#4717... |
| Type de projet | Recherche appliquée |
| Domaine de recherche | Financial econometrics, risk management |
| Source de financement | Google Summer of Code |
| Etat | Terminé |
| Début de projet | 5-2016 |
| Fin du projet | 8-2016 |
| Budget alloué | 5,500 USD |
| Contact | David Ardia |